| A bit of a welcomed surprise today in that gamma comes in a bit lower despite lower futures. Purely from our data we see signs of a bottom – the Tilt indicator has stabilized (use “Strike Chart” link at bottom), high put deltas have been wiped off the board and hopefully we experience some lower volatility. We are however lacking any serious call positions, and those call positions bring us the positive gamma. We don’t see positive overall gamma happening anytime soon, but negative gamma closer to zero should be achievable. To re-summarize our general position here, its clear that markets are being driven by forces much larger than the options market but I do think that the options market had a large hand in expanding volatility. With the data we are currently seeing we think that volatility should now move lower – and that can happen regardless of the direction of the S&P500 price. We also came across a recent chart from JPM highlighting that ES futures liquidity is 7x lower than the worst levels of the ’08 crisis. When you consider that we have robust volume but poor liquidity that tells me we have traders paying spread to get filled and this pushes price distribution wider. Our model suggests that market makers are rather price insensitive when hedging, and combined with poor liquidity provides the basis for compounding large swings in the SPX. Therefore I’d view any type of lower negative gamma and decreased implied volatility (VIX) as a positive for markets as it reduces market maker hedging volume. Even a fractional amount of stability would help to instill some confidence here. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2219.25 | 2288.25 |
| VIX Ref: | 72.71 | 66.04 |
| Gamma Per Point: | $-1,034,851,859.58 | $-1,152,865,188.62 |
| Zero Gamma Level: | 3101.0 | 3118.0 |
| Vol Trig: | 3140.0 | 3140.0 |
| High Gamma Strike Resistance: | 2085.0 Size: 2/10 | 2085.0 |
| Top Abs. Gamma Strike: | 2200.0 | 2300.0 |
| Put Wall Support: | 2200.0 Size: 5/10 | 2300.0 |
| Call Wall Strike: | 2212.0 Size: 0/10 | 2212.0 |
| CP Gam Tilt: | 0.08 | 0.13 |
| Net Delta: | $-14,850,084,084.00 | $-14,389,784,370.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 2085.0, 2032.0, 2435.0, 2875.0, 3425.0
The Volatility Trigger has moved DOWN: 3000.0 from: 3100.0 |